✦ LIBER ✦

Futures prices are not stable-paretian distributed

✍ Scribed by Donald W. Gribbin; Randy W. Harris; Hon-Shiang Lau

Book ID: 102845752
Publisher: John Wiley and Sons
Year: 1992
Tongue: English
Weight: 809 KB
Volume: 12
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990120408

No coin nor oath required. For personal study only.

✦ Synopsis

On a related factor, have shown that the bz/b4 test is robust against special events such as the stock market's 1987 "Black Monday" effect, which may be considered as a form of parameter heterogeneity of the generating distributions.

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